Scouting/Guarding Thralls are basically considered buildings.
You can only damage them when buildings can be damaged if I’m not mistaken.
Even in single-player, enable PvP and you have friendly fire!
You can now damage your followers when they are following you.
→ You still cannot damage them when they aren’t following.
Then, tick the box saying "can damage player owned structures (if I’m remembering it correctly)
→ Now you can damage your own structures, and magically you can also damage your non-following thralls 
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